NKE Options History — September 2012

In September 2012, NKE traded between $23.73 and $25.21. ATM implied volatility averaged 25.6%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.0% (HV 20d: 17.6%). Max pain ranged from $23.75 to $25.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.64.

Notable Days

  • 2012-09-27: Highest Volume — 360,164 contracts
  • 2012-09-28: Largest IV drop — 42.9% change
  • 2012-09-27: Highest IV Rank — 65.1%
  • 2012-09-27: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.38$23.73$25.21$24.32$23.73
Max Pain$24.64$23.75$25.00$24.38$24.38
ATM IV25.6%17.6%35.3%20.2%20.2%
Expected Move7.5%5.1%10.1%5.5%6.0%
HV 20d17.6%15.2%19.6%15.4%17.2%
HV 60d27.1%19.3%30.8%30.5%19.3%
IV Rank35.1%10.6%65.1%18.7%18.5%
IV Percentile57.6%13.9%94.4%33.3%34.9%
Term Structure-1.2%-6.1%7.3%7.3%0.8%
VWIV27.1%19.5%36.1%19.8%21.2%
Skew 25d4.4%2.7%7.0%3.0%4.0%
Skew 10d8.1%5.2%12.1%5.3%7.6%
Call IV 25d24.5%17.8%32.4%18.6%19.7%
Put IV 25d28.9%20.5%38.6%21.6%23.7%
Bid-Ask Spread %6.914.4111.4611.467.23
Gamma HHI0.200.110.410.150.35
Net GEX-4.6M-35.9M8.0M904.2K-35.9M
Net DEX20.8M-147.4M229.9M-57.8M229.9M
Net VEX-1.5M-1.8M-1.3M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.363.650.361.17
Total Volume110,265.89517,408360,16417,408309,920
Total OI679,427.579544,204928,076547,164928,076

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$24.32$24.3820.2%5.5%15.4%18.7%19.8%3.0%7.3%904.2K-57.8M-1.5M0.3611.4612,8444,564221,696325,468
2012-09-05$24.34$24.3819.9%5.3%15.2%17.8%19.7%3.0%7.3%442.5K-62.6M-1.5M2.507.716,91617,312224,576326,564
2012-09-06$24.86$24.3817.8%5.1%16.9%11.3%19.5%2.7%7.2%4.6M-138.6M-1.4M1.0810.2922,02023,872225,644325,488
2012-09-07$24.82$23.7517.6%7.0%16.5%10.6%26.9%3.1%-0.7%1.8M-120.0M-1.4M2.367.3613,32031,456221,472329,532
2012-09-10$25.01$23.7522.6%6.9%16.3%25.8%23.9%3.5%-0.8%1.0M-137.7M-1.3M1.626.7627,42044,320220,868323,336
2012-09-11$24.92$24.3822.8%6.8%15.8%26.6%24.5%4.0%-0.5%8.0M-121.9M-1.4M3.655.4913,06847,728246,012352,976
2012-09-12$25.21$24.3818.0%6.6%15.5%11.9%23.1%3.4%-0.0%3.8M-147.4M-1.4M3.416.7017,90461,084239,176388,256
2012-09-13$24.80$25.0022.9%6.6%16.6%26.9%25.4%3.6%-0.4%621.8K-34.8M-1.5M2.576.9223,96061,524246,396425,008
2012-09-14$24.16$25.0025.7%7.4%19.4%35.5%26.4%3.9%-2.2%-9.1M108.1M-1.6M1.066.1775,74079,984250,544460,024
2012-09-17$24.49$25.0026.4%7.6%19.3%37.5%26.8%4.5%-2.9%-8.5M39.1M-1.5M1.076.2512,85213,768243,220439,328
2012-09-18$24.43$25.0026.7%7.6%19.2%38.5%27.6%3.9%-2.9%-8.3M42.2M-1.5M1.116.6345,04849,792245,256438,504
2012-09-19$24.41$25.0027.1%7.8%19.2%39.8%27.6%4.5%-3.3%-996.1K24.3M-1.5M0.878.0032,32427,964270,180448,272
2012-09-20$24.18$25.0029.5%8.5%19.6%47.3%29.8%4.3%-5.0%-12.4M87.9M-1.5M0.595.4589,88453,324270,264458,864
2012-09-21$24.13$25.0030.1%8.6%19.5%49.1%32.8%6.5%-4.5%-5.9M111.5M-1.6M1.436.5683,248119,172300,016479,764
2012-09-24$23.83$25.0033.7%9.7%19.3%60.2%34.5%6.9%-5.4%-8.1M163.0M-1.7M2.126.1421,75646,056277,484451,320
2012-09-25$23.77$25.0033.9%9.7%19.3%60.6%34.5%6.4%-5.4%-10.1M187.5M-1.8M2.166.8249,828107,612284,928476,024
2012-09-26$23.87$25.0035.3%10.1%16.9%65.0%36.1%7.0%-6.1%-5.3M132.5M-1.8M1.174.9740,21647,088315,776440,360
2012-09-27$24.00$24.3835.3%10.1%17.0%65.1%35.0%5.2%-6.1%-3.5M90.0M-1.8M0.944.41186,104174,060334,948453,504
2012-09-28$23.73$24.3820.2%6.0%17.2%18.5%21.2%4.0%0.8%-35.9M229.9M-1.6M1.177.23143,080166,840414,860513,216